Local linear estimation for regression models with locally stationary long memory errors

DOI10.1016/j.jkss.2015.12.005zbMath1342.62066OpenAlexW2282432920MaRDI QIDQ530373

Lihong Wang

Publication date: 29 July 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2015.12.005

zbMATH Keywords

asymptotic behaviorlocal linear regression estimationlocally stationary long memory process

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• longmemo

Cites Work

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• Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
• Locally stationary long memory estimation
• Asymptotic theory for nonparametric regression with spatial data
• On the sample mean of locally stationary long-memory processes
• On parameter estimation for locally stationary long-memory processes
• Asymptotic properties of nonparametric regression for long memory random fields
• Random-design regression under long-range dependent errors
• The multiple change-points problem for the spectral distribution
• Local linear regression estimation for time series with long-range dependence
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Bayesian methods for change-point detection in long-range dependent processes
• Long‐Memory Time Series
• Non-central limit theorems for non-linear functional of Gaussian fields
• Long-Memory Processes
• Inference on fractal processes using multiresolution approximation
• How can we Define the Concept of Long Memory? An Econometric Survey

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